Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0072
Annualized Std Dev 0.0752
Annualized Sharpe (Rf=0%) 0.0953

Row

Daily Return Statistics

Close
Observations 3369.0000
NAs 1.0000
Minimum -0.0705
Quartile 1 -0.0016
Median 0.0001
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0017
Maximum 0.0588
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0047
Skewness -0.8635
Kurtosis 37.8085

Downside Risk

Close
Semi Deviation 0.0035
Gain Deviation 0.0037
Loss Deviation 0.0042
Downside Deviation (MAR=210%) 0.0094
Downside Deviation (Rf=0%) 0.0035
Downside Deviation (0%) 0.0035
Maximum Drawdown 0.2470
Historical VaR (95%) -0.0058
Historical ES (95%) -0.0113
Modified VaR (95%) -0.0052
Modified ES (95%) -0.0052
From Trough To Depth Length To Trough Recovery
2008-01-16 2008-12-16 2012-10-04 -0.2470 1181 228 953
2012-11-29 2013-09-09 2014-10-14 -0.1344 472 195 277
2020-03-10 2020-03-23 NA -0.1330 261 10 NA
2016-07-08 2016-12-05 2019-08-01 -0.0823 772 105 667
2015-02-03 2015-07-15 2016-04-05 -0.0443 295 113 182

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA 0.3 -0.8 0.2 -0.3
2008 -0.9 -5 1.3 0.4 -0.6 0.8 0 0.4 -2 -1.1 -0.8 1.3 -6.3
2009 0.2 0.1 0.2 -0.5 -0.8 0 0.5 0.5 0.7 0 0.5 -0.4 1.2
2010 0 0.1 -0.2 0.2 0 0.1 0.3 0 0.1 0.1 0.1 0.4 1.3
2011 -0.1 -0.1 -0.2 0.3 0 0 0.6 0.3 0.4 0.5 -0.1 0 1.6
2012 0 -0.2 0 0 0 -0.2 0 0.2 0.1 0 0.1 -0.1 -0.1
2013 0.1 0.1 0 0.2 -0.2 -0.9 -0.4 0.2 0 -0.3 0.1 -0.3 -1.2
2014 -0.4 -0.1 -0.2 0 0.1 -0.2 0.5 0 0.1 -0.4 0.1 0.2 -0.3
2015 0.2 0.3 0.3 -0.2 -0.3 0 0.2 0.3 0.1 0.1 0.4 0 1.2
2016 -0.6 -0.3 -0.5 -0.1 0.3 0.1 0.1 0 -0.1 -0.4 -0.3 0 -1.6
2017 0 -0.3 -0.2 -0.4 0 0.3 0.4 0 0.1 0 0.5 0.2 0.7
2018 -0.1 0.2 0 0.1 -0.2 -0.3 -0.8 0.2 -0.2 -0.1 0.2 0.2 -0.6
2019 -0.2 0 -0.2 0 0.2 0.1 0.1 -0.3 0.1 -0.2 -0.3 0 -0.5
2020 0.2 -0.2 -3.4 0.8 0.3 -0.1 0.2 -0.1 -0.2 -0.1 -0.1 0 -2.6
2021 0 -0.1 0 NA NA NA NA NA NA NA NA NA -0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-10-11  25.0 SPY    155. -0.00480   0.0094   0.0514   0.004    0.149     0.376    0.991 GLD    73.9  7.50e-3   0.0143
2 2007-10-12  25.1 SPY    156.  0.0055    0.0031   0.0498   0.0097   0.157     0.389    0.939 GLD    74.6  9.20e-3   0.0162
3 2007-10-15  25.0 SPY    155. -0.0084   -0.0001   0.041    0.0017   0.137     0.390    0.842 GLD    75.1  7.40e-3   0.036 
4 2007-10-16  25.1 SPY    154. -0.0079   -0.0173   0.0384  -0.0045   0.126     0.390    0.817 GLD    75.1 -3.00e-4   0.0278
5 2007-10-17  25.2 SPY    154.  0.0031   -0.0126   0.0117  -0.0053   0.127     0.386    0.739 GLD    74.5 -8.30e-3   0.0155
6 2007-10-19  25.2 SPY    150. -0.0262   -0.0426  -0.0171  -0.0279   0.0958    0.352    0.696 GLD    75.7 -3.90e-3   0.0149
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart